I wonder if they controlled for... why people choose to live where they live. I.e., this wasn’t an RCT; they could just assign people to live near highways or not. So the people who are living near highways are there for a reason. Are residences near highways, perhaps farther from certain other things, like city centres? Such that a certain type of person (people with pre-existing [perhaps subclinical] mental issues…
The study uses a definition based on average vehicles per day that travel the road. I think you're interpreting "highway" like a road that connects two cities, which is one of the word's many meanings, but they are using a different definition.
By using a traffic-based definition, this study is roughly counting the number of (running) cars that you're near.
Also, with their definition, people in urban or rural areas can be either near or not near a highway. If you live in the middle of a city but you're removed from high-traffic roads by neighborhood streets with low traffic, you're not near a highway.